A0914
Title: Announcement-specific decompositions of unconventional monetary policy shocks \& their macroeconomic effects
Authors: Daniel Lewis - University College London (United Kingdom) [presenting]
Abstract: It is proposed to identify announcement-specific decompositions of asset price changes into monetary policy shocks exploiting heteroskedasticity in intraday data, accommodating both changes in the nature of shocks and the state of the economy across announcements. We compute decompositions with respect to Fed Funds, forward guidance, asset purchase, and Fed information shocks from 1996 to 2019. The decompositions illustrate which announcements of unconventional policy measures had significant effects during the Great Recession. Forward guidance and asset purchases have significant effects on yields, spreads, equities, and uncertainty. Positive shocks to all dimensions of monetary policy trigger macroeconomic contractions, while information shocks telegraph expansions.